Cutwater - Asset Management
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CREDIT OPPORTUNITIES FUND
The current stressed ABS markets offer a very attractive opportunity to invest in the sector at historically high yields. Designed to take advantage of Cutwater's deep credit expertise in structured finance, the fund's strategy is to identify attractive relative value and risk-adjusted opportunities across the full breadth of the ABS sectors.
- Non-recourse, 3+ year term leverage and fixed financing spread and haircut (no mark-to-market)
- Senior securities can be evaluated and modeled to project cash flows and a yield profile over a variety of base, upside and downside scenarios
- Capital and principal paydowns from securities in the portfolio will be invested for a period of up to 18 months from Closing
- Attractive risk/return profile – targeting a double digit ROE
objective
The funds/portfolios have no limits on minimum credit ratings for the securities
purchased. They are primarily focused on U.S. structured finance securities but
have the flexibility to purchase non-U.S. structured finance securities. The funds/portfolios
may also use leverage to enhance their returns, including leverage from the Federal
Reserve Bank of New York's TALF, and may also use derivatives (including credit
derivatives) either for hedging or speculative purposes.
The objective of funds/portfolios in this composite is to capitalize on the credit
and liquidity stress in the market for structured finance securities to deliver
high absolute returns primarily through capital appreciation over a three to five
year investment horizon.
This market includes residential and commercial mortgage backed securities, collateralized
debt obligations and asset backed securities.
quality
For a complete set of details on the composite portfolio, please click here to contact us.